The Valuation of Credit Risk in Swaps: Methodological Issues and Empirical Results

Daniela Giberti; Marcello Mentini; Pietro Scabellone

doi:10.3905/jfi.1993.408067

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The Valuation of Credit Risk in Swaps

Methodological Issues and Empirical Results

Daniela Giberti, Marcello Mentini and Pietro Scabellone

The Journal of Fixed Income Spring 1993, 2 (4) 24-36; DOI: https://doi.org/10.3905/jfi.1993.408067

Daniela Giberti

A Vice President in the Mortgage Backed Securities Department of Mabon Securities Corp. in New York.

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Marcello Mentini

Head of the Research Department at the in Rome.

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Pietro Scabellone

A Senior Economist in the Research Department of the in Rome.

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vol. 2 no. 4 24-36

DOI

https://doi.org/10.3905/jfi.1993.408067

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Pageant Media Ltd

Print ISSN

1059-8596

Online ISSN

2168-8648

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The Valuation of Credit Risk in Swaps

Daniela Giberti, Marcello Mentini, Pietro Scabellone

The Journal of Fixed Income Mar 1993, 2 (4) 24-36; DOI: 10.3905/jfi.1993.408067

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The Valuation of Credit Risk in Swaps

Daniela Giberti, Marcello Mentini, Pietro Scabellone

The Journal of Fixed Income Mar 1993, 2 (4) 24-36; DOI: 10.3905/jfi.1993.408067

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Methodological Issues and Empirical Results

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